Towards a general independent subspace analysis

The increasingly popular independent component analysis (ICA) may only be applied to data following the generative ICA model in order to guarantee algorithmindependent and theoretically valid results. Subspace ICA models generalize the assumption of component independence to independence between groups of components. They are attractive candidates for dimensionality reduction methods, however are currently limited by the assumption of equal group sizes or less general semi-parametric models. By introducing the concept of irreducible independent subspaces or components, we present a generalization to a parameter-free mixture model. Moreover, we relieve the condition of at-most-one-Gaussian by including previous results on non-Gaussian component analysis. After introducing this general model, we discuss joint block diagonalization with unknown block sizes, on which we base a simple extension of JADE to algorithmically perform the subspace analysis. Simulations confirm the feasibility of the algorithm. 1 Independent subspace analysis A random vector Y is called an independent component of the random vector X, if there exists an invertible matrix A and a decomposition X = A(Y, Z) such that Y and Z are stochastically independent. The goal of a general independent subspace analysis (ISA) or multidimensional independent component analysis is the decomposition of an arbitrary random vector X into independent components. If X is to be decomposed into one-dimensional components, this coincides with ordinary independent component analysis (ICA). Similarly, if the independent components are required to be of the same dimension k , then this is denoted by multidimensional ICA of fixed group size k or simply k -ISA. So 1-ISA is equivalent to ICA. 1.1 Why extend ICA? An important structural aspect in the search for decompositions is the knowledge of the number of solutions i.e. the indeterminacies of the problem. Without it, the result of any ICA or ISA algorithm cannot be compare